Depending on load I may recommend pre-loading the table into a hashtable (note you would not want to use a foreach() etc as the operation would be O(n) as opposed to the hashtables O(1) ... but for a school project mrichmon is correct in that the SQL query would be the best option.

As mrichmon mentioned it would be more efficient to run a query against the DB and have it filter the data. It would be even more efficient to create a Stored Procedure in the DB to do it for you.

However, if you want to use the brute-force method, then the best way would be to use a DataReader to quickly loop through all the records. DataReaders maintain a connection to the DB and only retrieve a single record at a time, so they have a much lower overhead than DataSets.